2 Answers
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It's possible to install Ubuntu in general this way, for the most part, although I don't expect you would see root as a graphical login option in any event; see psusi's answer and my comment.

Wubi explicitly offers no access to the installer preseeding facilities that might allow this (they aren't generally presented except in expert mode, anyway), and does not offer any way to enable it at installation time. However, you can enable it after installation using the link psusi provided.

For the record, since this is a popular misconception, the way Ubuntu sets up sudo was not instituted out of a prescriptive notion that you aren't supposed to log in as root, but rather because it avoided having to ask for two different passwords during installation and so placed less of a cognitive burden on the majority of users who don't really care that much about the distinction. (It is indeed good policy not to log into a full graphical session as root, since many desktop applications aren't very well hardened, but there's nothing wrong with root console login sessions if you want.)
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Colin WatsonApr 22 '11 at 11:56

@Colin Watson that is the reason Ubuntu switched to sudo from su, but su was there in large part so that you could log in as a normal user for your normal day to day activities, and easily switch to root when you need to run admin commands. Logging in on a console as root ( often in single user mode ) to run admin commands is one thing, but logging into the full gui desktop and browsing the web or something is entirely another and a very bad idea. This question clearly wants to log in as root in the gui session, which is a bad idea.
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psusiApr 25 '11 at 13:27

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Ubuntu did not "switch to sudo from su"; sudo was already widely used before we came along, and there was no point where Ubuntu guided people towards using su either. The change we made in the 4.10 cycle was to disable the root account by default rather than asking for a password, and it was for the reason I gave in my previous comment. We're in agreement regarding logging into a full graphical session as root, but I want to be very clear about the rest of it since it's often misstated.
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Colin WatsonApr 25 '11 at 20:40